Best to use the dosbox key binder. Press Ctrl-F1 while in game.
Go to the arrow keys (or WASD if you prefer) in the keymapper and press the "Del" button for each one so the "BIND" line vanishes.
Then click on numberpad 2 and press the "Add" button, and type the up arrow key on your keyboard (or W). Do the same with 4 (left), 6 (right) and 2 (down).
I also clicked on the keypad's "ENT" button and added "R" to it, so I can now do replays with the R key. (no need to unbind the R key as well, since it doesn't have a command bound to it)
Picture:
http://i.imgur.com/xPSGe.png Then save and exit.
I just use the default key binding in the game itself.
Edit: Just remembered why I chose the cursor keys myself and not the WASD - I use the cheats on occasion, so not unbinding or reassigning any of the letter keys seemed like a good idea. If you don't care about the cheats, then go for it.